A Bayesian approach to diagnosing covariance matrix shifts.
Binhui WangFeng XuLianjie ShuPublished in: Qual. Reliab. Eng. Int. (2020)
Keyphrases
- covariance matrix
- covariance matrices
- principal component analysis
- mahalanobis distance
- positive definite
- sample size
- multivariate gaussian
- geometrical interpretation
- pseudo inverse
- multivariate normal
- correlation matrix
- objective function
- eigenvalues and eigenvectors
- eigendecomposition
- estimation error
- principal components
- class conditional densities
- genetic algorithm
- model selection
- cma es